If it comes on a stays on it would indicate a problem with an engine component, more than likely a sensor or actuator of some sort.
Depending on what car it is and it's age you should be able to obtain a fault code. Have a search around the net for how to obtain fault codes for your particular car.
When you know how to do it you should find that the engine management light will flash which will in turn relate to a number or series of numbers. This number is the error code and will relate to a fault on a particular engine component or circuit.
Haynes do a book on engine error codes but you should be able to find them somewhere on the net if you have a look.
If you can't be bothered with all that, just take your car to a reputable garage who will have a fault code reader and they'll obtain the code for you. If your car is pre-1997 you might have a bit more difficulty as the on board diagnostic interface wasn't standardised before then.
Without knowing what the car is it's difficult to offer any more advice.
Jeff Hooper, January 2011
